Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0058
Annualized Std Dev 0.0555
Annualized Sharpe (Rf=0%) 0.1043

Row

Daily Return Statistics

Close
Observations 3252.0000
NAs 1.0000
Minimum -0.0685
Quartile 1 -0.0011
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0011
Maximum 0.0527
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0001
Variance 0.0000
Stdev 0.0035
Skewness -0.8736
Kurtosis 81.0213

Downside Risk

Close
Semi Deviation 0.0025
Gain Deviation 0.0031
Loss Deviation 0.0032
Downside Deviation (MAR=210%) 0.0089
Downside Deviation (Rf=0%) 0.0025
Downside Deviation (0%) 0.0025
Maximum Drawdown 0.1264
Historical VaR (95%) -0.0035
Historical ES (95%) -0.0075
Modified VaR (95%) -0.0008
Modified ES (95%) -0.0008
From Trough To Depth Length To Trough Recovery
2020-03-10 2020-03-19 2020-07-23 -0.1264 95 8 87
2008-09-12 2008-12-16 2009-01-08 -0.0625 70 58 12
2010-08-27 2011-01-24 2011-09-26 -0.0522 273 103 170
2012-10-01 2016-12-01 2020-01-21 -0.0497 1837 1050 787
2009-01-30 2009-02-03 2009-08-07 -0.0406 132 3 129

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA -0.1 -0.4 0.1 0.2 -0.4 0 0 -0.3 -0.1 0.2 0.9 0.2
2009 -1.6 -0.3 0.7 -0.3 -0.8 -1.2 0.2 -0.1 -0.2 0 -0.1 -0.1 -3.6
2010 -0.1 -0.2 -0.5 -0.1 -0.1 0.1 0 -0.2 -0.5 -0.3 -0.1 -0.5 -2.4
2011 0.2 0.3 -0.4 0.3 0 -0.1 -0.3 -0.3 0.2 0.1 -0.2 0.1 -0.1
2012 -0.1 -0.1 0.1 -0.3 -0.1 -0.2 -0.1 0 -0.1 -0.1 0.4 -0.3 -0.7
2013 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.3 0.1 0 0.2 -0.7
2014 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.1 0 0.1 0.2 -0.2
2015 0.2 0.2 -0.1 0 0 -0.1 0.1 0 0 0.1 0 0.5 0.9
2016 0.1 -0.1 -0.2 0 -0.1 0 -0.2 -0.2 0 -0.2 -0.3 -0.4 -1.6
2017 0.1 -0.1 0.1 -0.2 -0.3 -0.1 -0.2 -0.1 -0.1 -0.2 0.1 -0.1 -1.2
2018 -0.2 -0.1 -0.2 -0.2 -0.1 0.2 -0.3 -0.1 -0.2 -0.4 0.2 0 -1.3
2019 -0.1 -0.2 -0.3 -0.1 0.2 -0.2 0 0 0 -0.1 0.1 0 -0.8
2020 0 -0.2 -0.5 -0.3 -0.5 -0.1 0.2 -0.1 -0.1 0 0 -0.2 -1.7
2021 -0.2 -0.2 -0.1 NA NA NA NA NA NA NA NA NA -0.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld  ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>  <dbl>    <dbl>
1 2008-02-26  16.7 SPY    138.  0.0075    0.021    0.04    -0.04    -0.0469    0.158    0.651 GLD    93.7 0.0105   0.0233
2 2008-02-27  16.7 SPY    138. -0.001     0.0169   0.022   -0.0194  -0.0092    0.150    0.636 GLD    94.8 0.0114   0.0165
3 2008-02-28  16.5 SPY    137. -0.0098    0.0154   0.0071  -0.04    -0.0288    0.127    0.644 GLD    96.0 0.0128   0.0294
4 2008-02-29  16.5 SPY    134. -0.0223   -0.0133  -0.0081  -0.0905  -0.0476    0.109    0.587 GLD    96.2 0.002    0.0299
5 2008-03-03  16.4 SPY    134. -0.00240  -0.0279  -0.0282  -0.0929  -0.0373    0.101    0.572 GLD    97.2 0.011    0.0485
6 2008-03-05  16.5 SPY    134.  0.0063   -0.0318  -0.029   -0.0938  -0.042     0.104    0.617 GLD    97.7 0.0267   0.031 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart